What OS are you on?
After downloading the software, did you install it? Sometimes the installer does not launch automatically, and you need to run it manualy.
See http://blogs.adobe.com/vikrant/2012/05/download-install-a-cs6-trial/ for details on a typical download+install.
After installing, the software shoudl be available under the Program files (Win) or Applications (Mac) folders. Drill down to Adobe and then Premiere Pro.